Quadratic Programming

  • Robert J. Vanderbei
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 196)

Abstract

In Chapter 23, we studied a generalization of the linear programming problem in which variables were constrained to take on integer values. In this chapter, we consider a generalization of a different kind. Namely, we shall study the class of problems that would be linear programs except that the objective function is permitted to include terms involving products of pairs of variables. Such terms are called quadratic terms, and the problems we shall study are called quadratic programming problems.

Keywords

Europe Covariance Expense Nash Hedging 

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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  • Robert J. Vanderbei
    • 1
  1. 1.Department of Operations Research and Financial EngineeringPrinceton UniversityPrincetonUSA

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